Statistical Analysis

• Risk and performance analysis: The available risk measures include Standard Deviation, Downside Risk, Value at Risk, Expected Shortfall, Shortfall Probability, Maximum Draw Down
• Risk Adjusted Performance Measures: Sharpe Ratio, Sortino Ratio, Treynor Ratio, Modigliani Ratio, Information Ratio and Equivalent Return
• Statistical distribution: Mean, Variance, Skewness, Kurtosis, Excess Kurtosis, Confidence Intervals, Correlation Indexes
• Fama decomposition: Selectivity, Diversification, Net Selectivity and Normal Return
• Tracking error: Mean Tracking Error, Tracking Error Volatility, Tracking Error Skewness and Tracking Error Kurtosis
• CAPM/Single Index Model: estimation of Beta, Jensen Alpha and R2, also computed using a quadratic model. Variance decomposition in systematic and idiosyncratic risk.
• Loss-Gain: Loss and Gain, Gain/Loss, Gain/Loss ratio, Black Traynor Ratio
• FIDA Amplification Factor: proprietary method of comparing with benchmark

Portfolio Models

• MPT (FIDA Easy Sampling): Proprietary portfolio optimization model
• MPT (Resampling): Modern Portfolio Theory (MPT) with resampling (Bootstrap, Multinormal Distribution, Geometric Brownian Motion, GARCH/N-GARCH models)

Portfolio Performance & Risk Analysis

• Performance contribution/attribution: one-period models (Brinson – Hood – Beebower and Brinson – Fachler). Arithmetical multi-period models (Cariño, Menchero, G.R.A.P., Frongello, Davis & Laker) and geometric multi-period models (Bacon, Menchero)
• Risk Attribution: portfolio risk decomposition using parametric methods, interpolation and resampling techniques, applied to different risk measures, like Standard Deviation, Value at Risk and Expected Shortfall.
• Scenario Simulation: Geometric Brownian Motion, Bootstrap, GARCH/N-GARCH models.

Statistical Analysis

• Risk and performance analysis: The available risk measures include Standard Deviation, Downside Risk, Value at Risk, Expected Shortfall, Shortfall Probability, Maximum Draw Down
• Risk Adjusted Performance Measures: Sharpe Ratio, Sortino Ratio, Treynor Ratio, Modigliani Ratio, Information Ratio and Equivalent Return
• Statistical distribution: Mean, Variance, Skewness, Kurtosis, Excess Kurtosis, Confidence Intervals, Correlation Indexes
• Fama decomposition: Selectivity, Diversification, Net Selectivity and Normal Return
• Tracking error: Mean Tracking Error, Tracking Error Volatility, Tracking Error Skewness and Tracking Error Kurtosis
• CAPM/Single Index Model: estimation of Beta, Jensen Alpha and R2, also computed using a quadratic model. Variance decomposition in systematic and idiosyncratic risk.
• Loss-Gain: Loss and Gain, Gain/Loss, Gain/Loss ratio, Black Traynor Ratio
• FIDA Amplification Factor: proprietary method of comparing with benchmark

Portfolio Models

• MPT (FIDA Easy Sampling): Proprietary portfolio optimization model
• MPT (Resampling): Modern Portfolio Theory (MPT) with resampling (Bootstrap, Multinormal Distribution, Geometric Brownian Motion, GARCH/N-GARCH models)

Portfolio Performance & Risk Analysis

• Performance contribution/attribution: one-period models (Brinson – Hood – Beebower and Brinson – Fachler). Arithmetical multi-period models (Cariño, Menchero, G.R.A.P., Frongello, Davis & Laker) and geometric multi-period models (Bacon, Menchero)
• Risk Attribution: portfolio risk decomposition using parametric methods, interpolation and resampling techniques, applied to different risk measures, like Standard Deviation, Value at Risk and Expected Shortfall.
• Scenario Simulation: Geometric Brownian Motion, Bootstrap, GARCH/N-GARCH models.